mirror of
https://github.com/softwaredevelop/mql5.git
synced 2026-07-27 20:47:44 +00:00
Toh4iem9
281 lines
11 KiB
Plaintext
281 lines
11 KiB
Plaintext
//+------------------------------------------------------------------+
|
|
//| Laguerre_Adaptive_Channel_Calculator.mqh |
|
|
//| Copyright 2026, xxxxxxxx|
|
|
//+------------------------------------------------------------------+
|
|
#property copyright "Copyright 2026, xxxxxxxx"
|
|
#property version "1.10" // Upgraded with dedicated ENUM_CHANNEL_WIDTH_METHOD for strict type safety
|
|
#property description "Stateful calculator implementing volatility bands around Adaptive Laguerre Filter."
|
|
|
|
#ifndef LAGUERRE_ADAPTIVE_CHANNEL_CALCULATOR_MQH
|
|
#define LAGUERRE_ADAPTIVE_CHANNEL_CALCULATOR_MQH
|
|
|
|
#include <MyIncludes\Laguerre_Adaptive_Filter_Calculator.mqh>
|
|
#include <MyIncludes\ATR_Calculator.mqh>
|
|
#include <MyIncludes\HeikinAshi_Tools.mqh>
|
|
|
|
//--- Dedicated Channel Volatility Width enum to prevent dimensionless metrics (like ER) from causing UI confusion
|
|
enum ENUM_CHANNEL_WIDTH_METHOD
|
|
{
|
|
WIDTH_METHOD_ATR, // Average True Range (ATR Keltner-style)
|
|
WIDTH_METHOD_STAND_DEV // Standard Deviation (StDev Bollinger-style)
|
|
};
|
|
|
|
//+==================================================================+
|
|
//| CLASS: CLaguerreAdaptiveChannelCalculator |
|
|
//+==================================================================+
|
|
class CLaguerreAdaptiveChannelCalculator
|
|
{
|
|
private:
|
|
ENUM_CHANNEL_WIDTH_METHOD m_width_method;
|
|
int m_width_period;
|
|
double m_multiplier;
|
|
bool m_is_ha;
|
|
|
|
CLaguerreAdaptiveFilterCalculator *m_baseline_calc;
|
|
CATRCalculator *m_atr_calc;
|
|
|
|
//--- Persistent State Registers
|
|
double m_baseline_buffer[];
|
|
double m_vol_buffer[];
|
|
double m_price[];
|
|
|
|
bool PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type,
|
|
const double &open[], const double &high[], const double &low[], const double &close[]);
|
|
|
|
public:
|
|
CLaguerreAdaptiveChannelCalculator(void);
|
|
~CLaguerreAdaptiveChannelCalculator(void);
|
|
|
|
bool Init(ENUM_ADAPTIVE_METHOD method, int adaptive_period, double gamma_min, double gamma_max,
|
|
ENUM_CHANNEL_WIDTH_METHOD width_method, int width_period, double multiplier, bool is_ha);
|
|
|
|
void Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type,
|
|
const double &open[], const double &high[], const double &low[], const double &close[],
|
|
double &baseline_buffer[], double &upper_buffer[], double &lower_buffer[]);
|
|
};
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| Constructor |
|
|
//+------------------------------------------------------------------+
|
|
CLaguerreAdaptiveChannelCalculator::CLaguerreAdaptiveChannelCalculator(void)
|
|
: m_width_method(WIDTH_METHOD_ATR),
|
|
m_width_period(10),
|
|
m_multiplier(2.0),
|
|
m_is_ha(false),
|
|
m_baseline_calc(NULL),
|
|
m_atr_calc(NULL)
|
|
{
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| Destructor |
|
|
//+------------------------------------------------------------------+
|
|
CLaguerreAdaptiveChannelCalculator::~CLaguerreAdaptiveChannelCalculator(void)
|
|
{
|
|
if(CheckPointer(m_baseline_calc) != POINTER_INVALID)
|
|
delete m_baseline_calc;
|
|
if(CheckPointer(m_atr_calc) != POINTER_INVALID)
|
|
delete m_atr_calc;
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| Init (Strict Type Safety Enforced) |
|
|
//+------------------------------------------------------------------+
|
|
bool CLaguerreAdaptiveChannelCalculator::Init(ENUM_ADAPTIVE_METHOD method, int adaptive_period, double gamma_min, double gamma_max,
|
|
ENUM_CHANNEL_WIDTH_METHOD width_method, int width_period, double multiplier, bool is_ha)
|
|
{
|
|
m_width_method = width_method;
|
|
m_width_period = (width_period < 2) ? 2 : width_period;
|
|
m_multiplier = (multiplier <= 0.0) ? 1.0 : multiplier;
|
|
m_is_ha = is_ha;
|
|
|
|
if(CheckPointer(m_baseline_calc) != POINTER_INVALID)
|
|
{
|
|
delete m_baseline_calc;
|
|
m_baseline_calc = NULL;
|
|
}
|
|
if(CheckPointer(m_atr_calc) != POINTER_INVALID)
|
|
{
|
|
delete m_atr_calc;
|
|
m_atr_calc = NULL;
|
|
}
|
|
|
|
// Instantiate Baseline Calculator
|
|
m_baseline_calc = new CLaguerreAdaptiveFilterCalculator();
|
|
if(CheckPointer(m_baseline_calc) == POINTER_INVALID ||
|
|
!m_baseline_calc.Init(method, adaptive_period, gamma_min, gamma_max, m_is_ha))
|
|
return false;
|
|
|
|
// Instantiate ATR Width Calculator if selected
|
|
if(m_width_method == WIDTH_METHOD_ATR)
|
|
{
|
|
if(m_is_ha)
|
|
m_atr_calc = new CATRCalculator_HA();
|
|
else
|
|
m_atr_calc = new CATRCalculator();
|
|
|
|
if(CheckPointer(m_atr_calc) == POINTER_INVALID || !m_atr_calc.Init(m_width_period, ATR_POINTS))
|
|
return false;
|
|
}
|
|
|
|
return true;
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| Calculate |
|
|
//+------------------------------------------------------------------+
|
|
void CLaguerreAdaptiveChannelCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type,
|
|
const double &open[], const double &high[], const double &low[], const double &close[],
|
|
double &baseline_buffer[], double &upper_buffer[], double &lower_buffer[])
|
|
{
|
|
int required_bars = MathMax(m_width_period * 2, 20) + 5;
|
|
if(rates_total < required_bars)
|
|
return;
|
|
|
|
//--- Resize state buffers and enforce chronological safety
|
|
if(ArraySize(m_baseline_buffer) != rates_total)
|
|
{
|
|
ArrayResize(m_baseline_buffer, rates_total);
|
|
ArrayResize(m_vol_buffer, rates_total);
|
|
ArrayResize(m_price, rates_total);
|
|
|
|
ArraySetAsSeries(m_baseline_buffer, false);
|
|
ArraySetAsSeries(m_vol_buffer, false);
|
|
ArraySetAsSeries(m_price, false);
|
|
}
|
|
|
|
//--- 1. Calculate Adaptive Baseline (Filter Mean)
|
|
m_baseline_calc.Calculate(rates_total, prev_calculated, price_type, open, high, low, close, m_baseline_buffer);
|
|
|
|
//--- 2. Calculate Channel Volatility Width (ATR or Standard Deviation)
|
|
if(m_width_method == WIDTH_METHOD_ATR)
|
|
{
|
|
// Refactored CATRCalculator v3.00 call
|
|
m_atr_calc.Calculate(rates_total, prev_calculated, open, high, low, close, m_vol_buffer);
|
|
}
|
|
else // WIDTH_METHOD_STAND_DEV (Bollinger Band Style volatility width)
|
|
{
|
|
int start_index = (prev_calculated > 0) ? prev_calculated - 1 : 0;
|
|
if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
|
|
return;
|
|
|
|
int loop_start = MathMax(m_width_period - 1, start_index);
|
|
if(loop_start == m_width_period - 1)
|
|
{
|
|
for(int i = 0; i < loop_start; i++)
|
|
m_vol_buffer[i] = 0.0;
|
|
}
|
|
|
|
for(int i = loop_start; i < rates_total; i++)
|
|
{
|
|
double sum = 0.0;
|
|
for(int j = 0; j < m_width_period; j++)
|
|
sum += m_price[i - j];
|
|
double mean = sum / m_width_period;
|
|
|
|
double sum_sq = 0.0;
|
|
for(int j = 0; j < m_width_period; j++)
|
|
sum_sq += pow(m_price[i - j] - mean, 2);
|
|
|
|
m_vol_buffer[i] = sqrt(sum_sq / m_width_period);
|
|
}
|
|
}
|
|
|
|
//--- 3. Calculate Upper and Lower bands around Baseline
|
|
int start = (prev_calculated > 0) ? prev_calculated - 1 : 0;
|
|
for(int i = start; i < rates_total; i++)
|
|
{
|
|
baseline_buffer[i] = m_baseline_buffer[i];
|
|
upper_buffer[i] = m_baseline_buffer[i] + m_multiplier * m_vol_buffer[i];
|
|
lower_buffer[i] = m_baseline_buffer[i] - m_multiplier * m_vol_buffer[i];
|
|
}
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| Prepare Price Series |
|
|
//+------------------------------------------------------------------+
|
|
bool CLaguerreAdaptiveChannelCalculator::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type,
|
|
const double &open[], const double &high[], const double &low[], const double &close[])
|
|
{
|
|
if(m_is_ha)
|
|
{
|
|
static CHeikinAshi_Calculator ha_calc;
|
|
static double ha_open[], ha_high[], ha_low[], ha_close[];
|
|
if(ArraySize(ha_open) != rates_total)
|
|
{
|
|
ArrayResize(ha_open, rates_total);
|
|
ArrayResize(ha_high, rates_total);
|
|
ArrayResize(ha_low, rates_total);
|
|
ArrayResize(ha_close, rates_total);
|
|
ArraySetAsSeries(ha_open, false);
|
|
ArraySetAsSeries(ha_high, false);
|
|
ArraySetAsSeries(ha_low, false);
|
|
ArraySetAsSeries(ha_close, false);
|
|
}
|
|
|
|
ha_calc.Calculate(rates_total, start_index, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
|
|
|
|
for(int i = start_index; i < rates_total; i++)
|
|
{
|
|
switch(price_type)
|
|
{
|
|
case PRICE_OPEN:
|
|
m_price[i] = ha_open[i];
|
|
break;
|
|
case PRICE_HIGH:
|
|
m_price[i] = ha_high[i];
|
|
break;
|
|
case PRICE_LOW:
|
|
m_price[i] = ha_low[i];
|
|
break;
|
|
case PRICE_MEDIAN:
|
|
m_price[i] = (ha_high[i] + ha_low[i]) * 0.5;
|
|
break;
|
|
case PRICE_TYPICAL:
|
|
m_price[i] = (ha_high[i] + ha_low[i] + ha_close[i]) / 3.0;
|
|
break;
|
|
case PRICE_WEIGHTED:
|
|
m_price[i] = (ha_high[i] + ha_low[i] + ha_close[i] * 2.0) * 0.25;
|
|
break;
|
|
default:
|
|
m_price[i] = ha_close[i];
|
|
break;
|
|
}
|
|
}
|
|
}
|
|
else
|
|
{
|
|
for(int i = start_index; i < rates_total; i++)
|
|
{
|
|
switch(price_type)
|
|
{
|
|
case PRICE_OPEN:
|
|
m_price[i] = open[i];
|
|
break;
|
|
case PRICE_HIGH:
|
|
m_price[i] = high[i];
|
|
break;
|
|
case PRICE_LOW:
|
|
m_price[i] = low[i];
|
|
break;
|
|
case PRICE_MEDIAN:
|
|
m_price[i] = (high[i] + low[i]) * 0.5;
|
|
break;
|
|
case PRICE_TYPICAL:
|
|
m_price[i] = (high[i] + low[i] + close[i]) / 3.0;
|
|
break;
|
|
case PRICE_WEIGHTED:
|
|
m_price[i] = (high[i] + low[i] + close[i] * 2.0) * 0.25;
|
|
break;
|
|
default:
|
|
m_price[i] = close[i];
|
|
break;
|
|
}
|
|
}
|
|
}
|
|
return true;
|
|
}
|
|
|
|
#endif // LAGUERRE_ADAPTIVE_CHANNEL_CALCULATOR_MQH
|
|
//+------------------------------------------------------------------+
|